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  Based on the market cap, we can divide the stocks into large-cap, mid-cap and small-cap stocks. In each of those categories, we can subdivide them into value stocks and growth stocks. The growth stocks typically grow revenues faster than the market average and have relatively high P/E ratios and P/B ratios. The value stocks have relatively low P/E ratios and P/B ratios. There are six styles in total.
  We've demonstrated various momentum strategies to generate excess returns at the firm, industry, and country level.
  In this algorithm, we'll explore the momentum effect at the style index ETF level.
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